Dynamic Programming for General Linear Quadratic Optimal Stochastic Control with Random Coefficients
نویسندگان
چکیده
منابع مشابه
Dynamic Programming for General Linear Quadratic Optimal Stochastic Control with Random Coefficients
We are concerned with the linear-quadratic optimal stochastic control problem where all the coefficients of the control system and the running weighting matrices in the cost functional are allowed to be predictable (but essentially bounded) processes and the terminal state-weighting matrix in the cost functional is allowed to be random. Under suitable conditions, we prove that the value field V...
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ژورنال
عنوان ژورنال: SIAM Journal on Control and Optimization
سال: 2015
ISSN: 0363-0129,1095-7138
DOI: 10.1137/140979940